贷款组合信用风险管理课件.pptVIP

CREDIT RISK OF LOAN PORTFOLIOS From Saunders and Cornett I. Introduction Credit risk of a loan (asset) portfolio should take into account both the concentration risk and the benefit from loan portfolio diversification. Portfolio credit risk can be used to set maximum loan concentration limits for certain business or borrowing sectors. The FDIC Improvement Act of 1991 requires bank regulators to incorporate credit concentration risk into their evaluation of bank insolvency risk. I. Introduction Banks will be allowed to use their own internal models, such as CreditMetrics and Credit Risk+